DOAJ Open Access 2023

Capital immobility and rollover risk in debt markets

Hyun Soo Doh

Lihat Sumber DOI

Abstrak

– This paper aims to develop a credit-risk model in which firms face rollover risk, and the markets for defaulted assets are segmented due to entry costs. The paper shows that reducing the entry costs in this economy may decrease the total surplus of the economy. This outcome can arise because when market barriers are lifted, the gap between the liquidation prices across the markets will shrink, but then the market that would experience a price drop may face more bankruptcies because the rollover risk will increase in that market. The paper describes under which condition such an intervention policy improves or hurts the total surplus.

Topik & Kata Kunci

Finance Risk in industry. Risk management

Penulis (1)

Hyun Soo Doh

Format Sitasi

APA MLA BibTeX

Doh, H.S. (2023). Capital immobility and rollover risk in debt markets. https://doi.org/10.1108/JDQS-09-2022-0021

Akses Cepat

Lihat di Sumber doi.org/10.1108/JDQS-09-2022-0021

Informasi Jurnal

Tahun Terbit: 2023
Sumber Database: DOAJ
DOI: 10.1108/JDQS-09-2022-0021
Akses: Open Access ✓